Did David win a battle or the war against Goliath? Dynamic return and volatility connectedness between the GameStop stock and the high short interest indices

被引:12
作者
Aharon, David Y. [1 ]
Kizys, Renatas [2 ]
Umar, Zaghum [3 ,4 ]
Zaremba, Adam [5 ,6 ,7 ]
机构
[1] Ono Acad Coll, Fac Business Adm, Tzahal St 104, Kiryat Ono, Israel
[2] Univ Southampton, Southampton Business Sch, Dept Banking & Finance, Room 1013,Bldg 4,Highfield Campus, Southampton SO17 1BJ, Hampshire, England
[3] Zayed Univ, Coll Business, POB 144534, Abu Dhabi, U Arab Emirates
[4] South Ural State Univ, Chelyabinsk, Russia
[5] Montpellier Business Sch, 2300 Ave Moulins, F-34185 Montpellier 4, France
[6] Univ Montpellier, Montpellier Res Management, Montpellier, France
[7] Poznan Univ Econ & Business, Inst Finance, Dept Investment & Financial Markets, al Niepodleglosci 10, PL-61875 Poznan, Poland
关键词
Static and dynamic connectedness; GameStop; Short -interest index; Stock returns; Return volatility; Spillovers; WallStreetBets; IMPULSE-RESPONSE ANALYSIS; SHORT-SELLERS; MARKET; SPILLOVERS; NOISE; LIQUIDITY; COMMODITY; PREDICT; RISK;
D O I
10.1016/j.ribaf.2022.101803
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Can a short-squeeze incident trigger financial contagion over heavily shorted companies? The recent GameStop frenzy provides a unique natural experiment to explore this question. This study examines the static and dynamic return and volatility connectedness among the GameStop stock, the novel market-wide and sectoral short-interest indices, and the U.S. stock market. Contrary to anecdotal evidence, we find that the GameStop stock is not a net transmitter but a net recipient of return and volatility spillovers from other companies shorted in the market. This result agrees with the view that short-interest indices provide price discovery for shorted stocks. Therefore, although David might have won a battle against Goliath, he does not seem to win the war.
引用
收藏
页数:19
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